The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

DOI10.1007/s11766-014-3209-zzbMath1313.91093OpenAlexW2040531953MaRDI QIDQ2514962

Zhongquan Tan, Jin-Guan Lin, Yang Yang

Publication date: 11 February 2015

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-014-3209-z

zbMATH Keywords

asymptoticsfinite-time ruin probabilitybivariate Sarmanov distributionfinancial and insurance riskslong-tailed and dominatedly-varying-tailed distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

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